Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0134
Annualized Std Dev 0.2370
Annualized Sharpe (Rf=0%) 0.0565

Row

Daily Return Statistics

Close
Observations 3533.0000
NAs 1.0000
Minimum -0.1153
Quartile 1 -0.0058
Median 0.0007
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0070
Maximum 0.1360
SE Mean 0.0003
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0149
Skewness -0.2718
Kurtosis 11.1555

Downside Risk

Close
Semi Deviation 0.0109
Gain Deviation 0.0106
Loss Deviation 0.0123
Downside Deviation (MAR=210%) 0.0154
Downside Deviation (Rf=0%) 0.0109
Downside Deviation (0%) 0.0109
Maximum Drawdown 0.6281
Historical VaR (95%) -0.0221
Historical ES (95%) -0.0373
Modified VaR (95%) -0.0222
Modified ES (95%) -0.0357
From Trough To Depth Length To Trough Recovery
2007-11-01 2009-03-09 NA -0.6281 3369 339 NA
2007-07-24 2007-08-16 2007-09-27 -0.1308 47 18 29
2007-06-05 2007-06-07 2007-06-21 -0.0372 13 3 10
2007-10-15 2007-10-22 2007-10-26 -0.0302 10 6 4
2007-03-13 2007-03-13 2007-03-20 -0.0262 6 1 5

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA -0.1 0.1 1 0.7 0.1 2.4 1.7 -2.3 0 -0.9 2.6
2008 1.3 -2.8 2.9 0.7 -0.1 -1.3 -1 -0.3 0.3 0.4 -7.9 1.3 -6.6
2009 -0.8 -2.7 2.8 1.8 2.3 1.8 1.3 -2.3 -3 -3.7 2.8 -0.3 -0.5
2010 2.3 1.1 1.9 -1.3 -1.3 0.6 0.2 3.3 1.1 0.1 2.7 0.5 11.4
2011 2.2 -1.2 1.1 0.5 -2.1 1 -0.7 -0.8 -3.5 -3.2 -0.9 0.5 -6.9
2012 1.6 1 0.8 0.5 -2.1 3.5 0 1.1 0.8 1.1 0 1.7 10.4
2013 0.9 0 -1.1 -0.9 -2 1.1 1.3 -0.7 0.6 -0.4 0.4 0.4 -0.5
2014 -1.2 0.2 0.7 0.2 -0.2 0.9 -0.4 0.1 -1.3 1.6 -0.5 -0.4 -0.5
2015 -1.6 0 0.8 0.7 -0.2 0.5 0.6 -3.3 0.4 -0.1 1 -1 -2.3
2016 -0.2 2.7 -0.8 -0.3 -0.1 0.3 -0.5 0.7 0.6 -0.4 -0.4 0 1.6
2017 0.2 1.1 -0.3 0.3 0.7 0.2 0.6 0.3 0.6 0.2 -0.3 0.1 3.8
2018 -0.1 -1.1 1.2 -0.4 0.9 0.9 -0.4 -0.4 0.3 1.7 -0.3 0.1 2.3
2019 -0.2 0.5 1.4 -0.7 -0.6 0.7 -0.8 0.5 -0.8 1 -0.9 0.3 0.3
2020 -1.7 -0.6 -4.2 -2.6 2.2 0.5 -1.6 0.6 0.7 -0.7 2.2 -0.6 -5.8
2021 1.7 2.2 0.5 NA NA NA NA NA NA NA NA NA 4.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-03-08  51.0 SPY    141.  8.50e-3   0.0016  -0.0286  -0.0039   0.0998    0.209    0.206 GLD    64.5  2.80e-3  -0.0204
2 2007-03-09  51.3 SPY    141.  3.00e-4   0.0152  -0.0305  -0.0079   0.0978    0.225    0.208 GLD    64.2 -3.60e-3   0.0085
3 2007-03-12  51.5 SPY    141.  1.50e-3   0.0265  -0.0278  -0.0056   0.107     0.231    0.205 GLD    64.4  1.90e-3   0.0229
4 2007-03-13  50.2 SPY    138. -1.94e-2  -0.0104  -0.0395  -0.0206   0.0751    0.228    0.179 GLD    63.7 -1.01e-2  -0.0067
5 2007-03-14  50.2 SPY    139.  7.50e-3  -0.002   -0.0291  -0.0151   0.0811    0.253    0.189 GLD    63.9  3.50e-3  -0.0056
6 2007-03-15  50.7 SPY    139.  1.40e-3  -0.009   -0.0359  -0.0166   0.0714    0.239    0.202 GLD    64.0  6.00e-4  -0.0078
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart